I found another thread which mentions the following. I guess thats my answer.

"Therefore, in an instance where you wish to process audio through Montage Effects, the most flexibility would be via the AD Input. Signal arriving from the DAW via USB (digital) can be processed (in isolation) through the System and Master Effects (but cannot be processed via the Inserts).".

If you want to process audio through the synthesizer... use it's extensive Effect processing capability, you can but you must think about it as an external processor. Here's what I mean...

The USB audio Returns to Montage, (there are 3 pairs of audio returns from the computer to the Montage):

The first two, MAIN L&R, simply return audio directly to the main outputs (this is the Montage acting as audio interface)
The next two, DIGITAL L&R, this returns audio directly to the Montage synth engine and can be seen on the "Mixing" screen as one of two types of incoming audio.
The last two, ASGN L&R, simply return audio to the Assignable outputs on the Montage back panel (useful for setting up a second mix, for example to feed a headphone distribution system when working with multiple musicians.

Routing signal from your DAW on Montage audio bus Outputs 3 and 4 (Digital L/Digital R) will have that signal arrive in the Montage synth engine.
It has its own set of parameters within each Performance:

From HOME
Press [EDIT]
Press the upper [COMMON] button to access the Common/Audio level of editing
Touch "Audio In"
Here you can access both the analog and digital audio inputs... the USB Return is Digital (of course).

As you can see, you can use the System Effects, and you can select an Output routing back to the computer... if you select the Main L&R, the processed audio will be sent back to your DAW going through the Master Effect and Master EQ before going back where you can print the processed audio. The Main L&R Outputs of course include everything, so you will want to *isolate* whatever it is you want to process so that it is the only thing playing back. You are using the whole Montage just as an Effect processor - so like any processor, just send it the audio you wish to Effect (for isolation purposes). Most of the Effect Types found as Insertion Effects are repeated in the System's VARIATION processor - so you'll have access to all the cool guitar effects...

Hint: When routing the signal to the Variation Effect, you can use the DRY LEVEL parameter to strike a balance between unaffected and effected signal... normally the Dry Level remains fully open (127), but you can reduce it to control the amount of Effect you are returning... assuming you are printing a separate audio for this Effect Return, you may want to significantly reduce the Dry (unaffected) Level. Doing so will let just the processed signal to return to the DAW. It depends on how you wish to create that balance. Make sense?

The Main L&R will also have access to the Master Effect and the Master EQ.

Now, that said, if you wish to process the external signal with Montage's dual Insertion Effects, you'd need to get the audio out of the computer as an analog signal, then back into the system via the Montage A/D Input. Digital audio arriving at the Montage arrives post the Insertion blocks, but pre the Rev and Var Sends. So only audio coming in the analog in can access the Insertion block.

Alternative Approach:
Or when recording your audio in the first place you can use Montage A/D Input to print the audio to your DAW. If early experiments are any indicator, recording through the Montage opens the door to many new possibilities - you may want to consider recording that way in the first place. In such a setup, you can discreetly route things so you can simultaneously use the synth while processing the A/D Input with its own dual Insertion Effects, and route it on to the DAW on its own discreet USB Output pair USB1-30.

Note: As an experiment here, just to learn the DAW setup (I'm not a DAW user myself) - I used the demo of Kontakt I was using to help out another user. My goal was to apply effects to the returning signal from Kontakt. It took me a while to get this going - not because I had the Montage side setup wrong or was doing the wrong configuration on Montage - but because I wasn't very familiar with what to do on the DAW side.

By default, Kontakt was setup to output to audio bus outputs 1 and 2. Output 1=Main L, Output 2=Main R. In terms of the audio bus, this Main L&R bypasses all effects which is great if you just want your computer sounds to run through Montage without Montage "coloring" the sound. One use would be if you have high-quality powered speakers connected to Montage and want your computer to leverage these speakers while watching youtube video.

In order to get the effects in the audio path of the returning audio from the computer, you need to target Outputs 3=Digital L and Output 4=Digital R. This will allow for the controls in the Common / "Audio In"->"Mixing" screen to work where you can send digital audio to variation (and reverb) system effects.

To set this up in Kontakt wasn't easy to find for me. There's a way to hide and view different sections of the GUI. Up near the top/right there are a series of icons. Left-most is a floppy disk icon for file manipulation, next is a gear icon for setup, next is an icon that looks like 3 panels which is for hiding and displaying different GUI views. This 3rd-from-the-left icon is the one to press in Kontakt to start the correct setup. After pressing, you see a selection "Outputs (F2)", which is unchecked by default. Pressing this will show the "Outputs" panel which is necessary for changing the audio output from Main L&R (bypassing effects) to Digital L&R (enabling effects sends). I could have just pressed "F2" (function key 2) on the keyboard instead to display the GUI view.

Now with this view, I see a series of sliders. The left most is labeled "st. 1" for stereo 1 output - and this is what the Kontakt instrument was set to output to. At the very bottom of each slider, under the numeric value for dB offset, is a pair of numbers that looks like this: "1|2". By default, "st. 1" was set to "1|2" meaning audio output 1 and audio output 2 (MainL&R). I clicked on the "1|2" (also called channel configuration in Kontakt) and was able to modify these. After the menu pops up, there's a selection for "Physical Out". When I click on this, Kontakt shows each of the 6 audio outputs and labels them correctly according to what BM was mentioning

1=Main L, 2=Main R, 3=Digital L, 4=Digital R, 5=Assign L, 6=Assign R

So after setting "Ch 1" to "3-Digital L" and "Ch 2" to "4-Digital R", I was then able to hear the effects I had applied on the Digital L&R USB inputs on Montage. I used the auto synth variation effect because auto synth is so extreme.

For a different DAW - some similar set of setup would be necessary. Hopefully it's easier to find.

The alternative approach of looping back audio to A/D in would allow for insertion effects as well since the A/D input has insertion effects. For this, I would assign in the DAW the output to 5-Assign L and 6-Assign R, then connect cables from the Assign L to A/D input L and Assign R to A/D input R. Of course setting the A/D gain (knob) to something non-zero and ensuring the A/D input button is ON. With the hardware configuration in place (and DAW configured correctly) - normal menu diving to set the effects can take place. This time focusing on the A/D input effects options.

Electing to use A/D would "cost" you the use of A/D (if you wanted stereo) so you couldn't simultaneously use the A/D input for a microphone/vocoder setup (because both inputs are dedicated to the effects). But you would gain freeing up system effects for other uses and with two insertion effects could apply more guitar-oriented effects in addition to amp/cabinet simulation. You could also "pull in" the variation/reverb (system effects) for even more along with the master effect. So going the A/D route would cost a little (physical cable routing, dedicating A/D inputs) but would gain much more in terms of effect flexibility.

... under Cubase it was taking too long to find the same controls, so I went to a tutorial:

https://youtu.be/fyuxEfDk_hA?t=117

and saw under Cubase I could press F4 (Or alternatively, "VST Connections" window under the "Devices" menu) to bring up a menu of similar controls. Click on the "Outputs" tab of this window and now the "Stereo Out" bus - which is where all Audio Output from Cubase ends up - can have the "Left" and "Right" assigned to a different "Device Port" so I set these to "Digital L" and "Digital R". After doing this now the Halion Sonic SE2 plugin (I was using with Cubase, since it comes with it) is routed to the Digital L&R inputs of Montage and, since I still have the auto synth effect applied to Digital L&R inputs of Montage - the sound drastically changes.

Using Cubase and the F4 ("VST Connections") window, I elected to add audio output buses so there were three options and also double clicked on the name so they reflected, more clearly, what the routing was. Stereo Out (connected to Main L&R) I renamed to "Main Out". I added a stereo bus, connected the output to Digital L&R, and named this bus "Digital Out". Finally, I added a stereo bus, connected the output to Assign L&R, and named this bus "Assign Out".

In order to make the plug-in route out to any one of these buses, I could click on the "Channel Settings" - icon looks like a tilted lowercase 'e" - click on the output name (after the "->") and pick any of the 3 output buses I setup - easily identified by meaningful names.

... adding:

In Cubase, I was wanting to send audio to both Main L&R and Digital L&R at the same time. Doing this is fairly straight forward - you can click on the "Audio Sends" button under "Inspector" (for me, while the HALion Sonic SE track was selected). Click on an empty box or the down-arrow for the box - a popup menu displays. Pick one of the "Outputs" which is different from the main output for the track.

After doing this, you can turn on/off any output easily under the audio send for each track. You can remove Main L&R (or whatever your primary track output is from the channel settings) and use the sends entirely.